# get ic decay
from get_data import get_data,bars
from singletrader.processors.cs_processor import CsWinzorize
from singletrader.shared.utility import save_pkl
from singletrader.factorlib import FactorEvaluation,summary_plot
import pandas as pd
import plotly.express as px
from plotly.figure_factory import create_table
import warnings
warnings.filterwarnings('ignore')
data = get_data().dropna() #获取处理好的数据
features = [_f for _f in data.columns if _f not in bars] + ['ep','circulating_market_cap']
bar_data = data[bars]
# bar_data.head()
liquidity_group = data.groupby(level=0).apply(lambda x:pd.qcut(x['amount3M'],3,labels=['low','medium','high'])).droplevel(0)
ep_group = data.groupby(level=0).apply(lambda x:pd.qcut(x['ep'],3,labels=['low','medium','high'])).droplevel(0)
high_liq =(liquidity_group=='high').astype(int)
- 为了确保因子作用方向一致，Long/Short方向选定使用的是全样本中的因子表现，与选定的start_date/end_date无关# 非行业中性化(全市场)
fe = FactorEvaluation(bar_data=data[bars],factor_data=data[features],freq=12,winzorize=True,standardize=True,industry_neutralize=False)
fe.get_summary(add_shift=0,start_date='2010-01-01',end_date='2022-12-31',base='close') # forward_return: 下月收盘-本月收盘
# fe.get_summary(add_shift=0,start_date='2010-01-01',end_date='2022-12-31',universe=high_liq,base='close-open') # forward_return: 下月收盘-下月开盘
start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | circulating_market_cap | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0220 | -0.0251 | 0.0015 | 0.0014 | 0.0075 | 0.0093 | -0.0409 | -0.0495 | -0.0438 | -0.0324 | -0.0417 | -0.0416 | -0.0079 | -0.0375 | 0.0111 | -0.0104 |
| ic.t-stats | -4.5870 | -5.4944 | 0.1332 | 0.1753 | 0.8213 | 0.9784 | -4.4306 | -4.6343 | -4.2191 | -3.0323 | -3.7078 | -4.6622 | -1.4904 | -3.0344 | 1.6189 | -1.2103 |
| AnnRet_Long | 0.0293 | 0.0349 | 0.0233 | -0.0068 | -0.0075 | 0.0056 | 0.0379 | 0.0663 | 0.0599 | 0.0479 | 0.0499 | 0.1133 | -0.0266 | 0.0240 | 0.0001 | 0.1391 |
| AnnRet_short | -0.0571 | -0.0543 | 0.0083 | -0.0144 | -0.0379 | -0.0370 | -0.1016 | -0.1170 | -0.1081 | -0.0891 | -0.0807 | -0.1114 | -0.0493 | -0.0812 | -0.0154 | -0.0745 |
| AnnRet | 0.0865 | 0.0892 | 0.0150 | 0.0077 | 0.0304 | 0.0426 | 0.1395 | 0.1833 | 0.1680 | 0.1369 | 0.1306 | 0.2247 | 0.0227 | 0.1052 | 0.0155 | 0.2136 |
| SR_Long | 0.6867 | 0.8823 | 0.2783 | -0.1097 | -0.0965 | 0.0703 | 0.4799 | 0.8358 | 0.7678 | 0.5829 | 0.4982 | 1.3748 | -0.6219 | 0.2300 | 0.0008 | 1.6172 |
| SR_Short | -1.3087 | -1.3072 | 0.0908 | -0.1901 | -0.6241 | -0.5720 | -1.2536 | -1.1988 | -1.1653 | -0.9704 | -0.9295 | -1.2533 | -0.9876 | -0.8907 | -0.2853 | -0.6975 |
| SR | 1.1350 | 1.2716 | 0.0891 | 0.0597 | 0.2322 | 0.3100 | 0.9670 | 1.0915 | 1.0446 | 0.8289 | 0.7313 | 1.4213 | 0.2896 | 0.5722 | 0.1299 | 1.1544 |
| TO_Long | 0.7752 | 0.7770 | 0.2492 | 0.5011 | 0.3180 | 0.2646 | 0.8119 | 0.6024 | 0.5018 | 0.3718 | 0.1533 | 0.1976 | 0.8950 | 0.4735 | 0.0852 | 0.0907 |
| TO_Short | 0.7848 | 0.7834 | 0.3552 | 0.4449 | 0.3710 | 0.3071 | 0.7738 | 0.5440 | 0.4431 | 0.3166 | 0.1875 | 0.1484 | 0.8961 | 0.5763 | 0.0728 | 0.0499 |
# 行业中性化(全市场)
fe = FactorEvaluation(bar_data=data[bars],factor_data=data[features],freq=12,winzorize=True,standardize=True,industry_neutralize=True)
fe.get_summary(add_shift=0,start_date='2010-01-01',end_date='2022-12-31',base='close')
start_date:2010-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0220 | -0.0253 | 0.0087 | -0.0008 | 0.0017 | 0.0014 | -0.0489 | -0.0543 | -0.0494 | -0.0381 | -0.0435 | -0.0419 | -0.0095 | -0.0393 | 0.0047 | -0.0102 |
| ic.t-stats | -5.2690 | -6.3374 | 0.8678 | -0.1349 | 0.2458 | 0.1899 | -6.2804 | -6.0074 | -5.5065 | -4.2273 | -4.6611 | -5.4288 | -2.1064 | -3.5876 | 0.8465 | -1.3894 |
| AnnRet_Long | 0.0283 | 0.0368 | 0.0387 | 0.0069 | -0.0040 | -0.0014 | 0.0729 | 0.0876 | 0.0835 | 0.0741 | 0.0659 | 0.0865 | -0.0108 | 0.0429 | 0.0165 | 0.0424 |
| AnnRet_short | -0.0585 | -0.0525 | -0.0024 | -0.0073 | -0.0114 | -0.0032 | -0.1101 | -0.1154 | -0.1068 | -0.0880 | -0.0783 | -0.1089 | -0.0464 | -0.0814 | -0.0044 | -0.0678 |
| AnnRet | 0.0868 | 0.0893 | 0.0412 | 0.0141 | 0.0074 | 0.0018 | 0.1829 | 0.2030 | 0.1903 | 0.1621 | 0.1442 | 0.1954 | 0.0356 | 0.1244 | 0.0208 | 0.1101 |
| SR_Long | 0.7582 | 1.0026 | 0.5360 | 0.1597 | -0.0611 | -0.0197 | 1.1731 | 1.3320 | 1.3063 | 1.1192 | 0.9075 | 1.5332 | -0.3013 | 0.4775 | 0.2082 | 1.0895 |
| SR_Short | -1.5970 | -1.4797 | -0.0305 | -0.1122 | -0.2691 | -0.0739 | -1.5939 | -1.3665 | -1.2638 | -1.0823 | -1.0394 | -1.3354 | -1.0924 | -1.0841 | -0.0882 | -0.7076 |
| SR | 1.3908 | 1.4400 | 0.2854 | 0.1516 | 0.0781 | 0.0183 | 1.6254 | 1.4648 | 1.3864 | 1.1897 | 1.0566 | 1.5968 | 0.5688 | 0.8023 | 0.2245 | 0.9276 |
| TO_Long | 0.7756 | 0.7768 | 0.2564 | 0.4964 | 0.3209 | 0.2683 | 0.8079 | 0.5956 | 0.4975 | 0.3675 | 0.1744 | 0.1780 | 0.8942 | 0.5059 | 0.1023 | 0.0673 |
| TO_Short | 0.7856 | 0.7834 | 0.3489 | 0.4473 | 0.3665 | 0.3029 | 0.7764 | 0.5450 | 0.4447 | 0.3202 | 0.1868 | 0.1550 | 0.8964 | 0.5848 | 0.0818 | 0.0496 |
# 行业中性化因子（高流动性股票池）
fe = FactorEvaluation(bar_data=data[bars],factor_data=data[features],freq=12,winzorize=True,standardize=True,industry_neutralize=True)
fe.get_summary(add_shift=0,start_date='2010-01-01',universe=high_liq,end_date='2022-12-31',base='close') # forward_return: 下月收盘-本月收盘
start_date:2010-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0202 | -0.0138 | -0.0039 | 0.0175 | 0.0216 | 0.0235 | -0.0465 | -0.0478 | -0.0388 | -0.0172 | -0.0490 | -0.0222 | 0.0032 | -0.0304 | 0.0338 | 0.0152 |
| ic.t-stats | -4.1262 | -2.8306 | -0.3408 | 2.0443 | 2.2881 | 2.4099 | -4.9462 | -4.6531 | -3.9111 | -1.6463 | -3.9959 | -2.9157 | 0.5216 | -2.5719 | 3.5621 | 1.3980 |
| AnnRet_Long | -0.0661 | -0.0711 | -0.0887 | -0.0672 | -0.0505 | -0.0453 | -0.0351 | -0.0187 | -0.0397 | -0.0805 | -0.0291 | -0.0646 | -0.1123 | -0.0816 | -0.0458 | -0.0630 |
| AnnRet_short | -0.1340 | -0.1176 | -0.0911 | -0.1258 | -0.1518 | -0.1439 | -0.1899 | -0.1878 | -0.1732 | -0.1363 | -0.1898 | -0.1410 | -0.1247 | -0.1641 | -0.1668 | -0.1102 |
| AnnRet | 0.0679 | 0.0465 | 0.0024 | 0.0586 | 0.1013 | 0.0986 | 0.1548 | 0.1692 | 0.1335 | 0.0557 | 0.1607 | 0.0764 | 0.0124 | 0.0826 | 0.1210 | 0.0472 |
| SR_Long | -1.0345 | -1.0678 | -0.7942 | -0.5881 | -0.4273 | -0.3794 | -0.4034 | -0.1969 | -0.4437 | -0.9809 | -0.2560 | -1.0227 | -1.1749 | -0.9331 | -0.3338 | -0.3970 |
| SR_Short | -1.6535 | -1.4739 | -0.9318 | -1.6347 | -2.0101 | -1.8337 | -1.5793 | -1.5382 | -1.4480 | -1.0857 | -1.6915 | -1.0870 | -1.7720 | -1.4174 | -2.1798 | -1.5303 |
| SR | 0.9311 | 0.6565 | 0.0147 | 0.4621 | 0.7559 | 0.7285 | 1.1158 | 1.1063 | 0.9472 | 0.3831 | 0.9220 | 0.7097 | 0.1319 | 0.5321 | 0.8275 | 0.2722 |
| TO_Long | 0.8134 | 0.8129 | 0.4559 | 0.4921 | 0.3779 | 0.3286 | 0.8371 | 0.6644 | 0.5486 | 0.4203 | 0.2118 | 0.4426 | 0.9244 | 0.5675 | 0.1787 | 0.0699 |
| TO_Short | 0.8138 | 0.8148 | 0.3572 | 0.5617 | 0.4574 | 0.4036 | 0.8083 | 0.6337 | 0.5260 | 0.3792 | 0.2880 | 0.1861 | 0.9117 | 0.6293 | 0.2429 | 0.2642 |
收益曲线和表格指标，均是针对超额收益，benchmark用的是equal weighted
factor='mom3M_GN'
report = fe.get_factor_detail_report(factor=factor,add_shift=0,base='close',start_date='2010-01-01',end_date='2022-12-31',total=False,excess_return=True,holding_period=1)
summary_plot(report)
group_ic = fe.factor_ana(factor=factor,ep_group=ep_group,liquidity_group=liquidity_group,add_shift=0,base='close')
bar = px.bar(group_ic['ic.mean'].reset_index(),x='level_1',y='ic.mean',color='level_0',barmode='group',title='ic of different ep & lquidity')
bar.show()